Combine soy sauce, brown sugar, sherry, coffee, garlic, cayenne, 1 tbsp olive oil and chicken legs in a zip top bag. Press out as much air as possible and seal bag. Refrigerate from 3 hours to overnight.
Remove chicken from marinade and pat dry with paper towels. Pour marinade into a small saucepan and bring to a boil.
Heat 1 tbsp olive oil in a skillet. Add chicken legs and brown on all sides. Pour boiling marinade into skillet and simmer 30 minutes, until chicken is cooked and juices run clear.
Stir cornstarch into cold water. Drizzle into sauce a few drops at a time until sauce achieves desired consistency. Serve alongside chicken.